Vol Trader

 

With the Managed Order Console selected type Ctrl + Shift + o.

 

Alternate Methods:

• From the Action menu in the Managed Order Console, select New Managed Order -->Vol Trader
  
  

• Right-click in the Managed Order Console grid and select New Managed Order -->Vol Trader

 

Note: Vol Trader can also be launched via the Vol Trader button in the Option Quote Cube.

 

 

 

 

In the Option section of the Vol Trader window enter values for each field:

• Und—The underlying security. Select from the drop-down list or type a symbol name.
   

• Expr—The option's expiration date.
   

• Strk—The strike price.
   

• Root—The unique option class identifier.
   

• Call/Put—Select the type of option order.
   

• Option Side Type—BYO (Buy to open), BYC (Buy to close), SLO (Sell to open), SLC (Sell to close).
  
  

• b—The desired number of option contracts to trade.
   

• Ref Px—The reference price.
   

• Vol %—Volatility percentage. This value is based on the option and underlying reference prices, though it can be edited once Vol Trader has started. The volatility percentage increases or decreases in direct correlation to the reference price.

 

 

 

Vol Trader automatically assigns the underlying security to match the option symbol. Consequently, the Underlying Symbol field cannot be edited.

 

Option Sides Types and the Underlying Stock Side Types

 

The side type of the underlying security is determined by two factors: the option type (call or put) and the option's side.

 

Option Type	Option Side Type	Underlying Symbol Side Type
Call	BYC or BYO	SEL, SLA, or SSH
Call	SLC or SLO	BUY or BYC
Put	BYC or BYO	BUY or BYC
Put	SLC or SLO	SEL, SLA, or SSH

 

Here, the Ref Px refers is the reference price of the underlying security.

 

 

 

 

The current market's option and underlying Bid/Ask/Last prices are displayed in the Current Market area of Vol Trader. The volatility percentage values are also displayed.

 

 

 

 

Greeks measure an option's sensitivity to risk components.

 

Delta measures the rate of change in the option price over the rate of the change in the underlying security.

 

Gamma is the ratio of the change of an option's Delta to a small change in the price of the underlying security.

 

Vega is the measurement of the sensitivity of an option's price to a change in its implied volatility.

 

Note: Greek values are calculated by WEX and cannot be edited.

 

 

 

 

The non-editable Achieved section displays the current status of Vol Trader:

• Percentage complete
   

• PNL (Profit and Loss) amount (profit displayed in green, loss displayed in red)
   

• Number of options traded and price
   

• Number of underlying shares traded and price

Note: The option and underlying prices are the average prices.

 

 

 

 

Option Parameters

 

Press the Advanced button to select the following:

• Rte (Route)—The route(s) to which option orders will be sent (click here for Option Quote Source route information).
  
  Note: If more than one route is selected, Vol Trader with fanout the order as equally as possible among all routes.
   

• Port(folio)—The portfolio in which option orders will exist (as defined in Global Configuration).
  
  Note: Both Rte and Port selections can be locked from making accidental changes. Press the lock button to invoke this option.
   

• Show (optional field)—For reserve orders this value represents the quantity that should be shown to the world.
  
  Note: Field is disabled if the selected route does not support reserve orders.
   

• Min(imum)—Size specifies the minimum order size.
   

• Max(imum)—Size specifies the maximum order size.
   

• Work Mode
  
  Work Bid or Offer—This mode places option orders to buy at the bid or sell at the ask when market conditions are valid.
  
  Eye—The Eye feature enables the Work Bid or Offer mode to place an IOC (Immediate or Cancel) option order to buy at the ask or sell at the bid to try and capture marketable liquidity before falling back to its default behavior. To use this feature, the Vol Trader must be in Work Bid or Offer mode and the configured option route must support a Time In Force of IOC. It is highly recommended to use this feature with a WEX smart router such as Xenon for orders to capture liquidity reliably.
  
  Work Aggressively—The initial order will be placed at the most aggressive price allowable without violating the desired limit. This may, or may not, result in the initial order taking liquidity.
  
  Market Taker—The initial order is only placed when the desired limit is currently achievable in the marketplace. It will only take liquidity.

 

Hedge Parameters

 

Hedge With:

• Rte (Route) for underlying stock symbol (click here for information on route configurations).
   

• Port(folio) (as defined in Global Configuration).
  
  Note: Both RTE and Port selections can be locked from making accidental changes. Press the lock button to invoke this option.
   

• Min Size—The minimum order size.
   

• Round Lots Only—Check this box if it's preferable to trade shares in round lots only.
   

• Force (side type)—To force a hedge trade to be placed with the specified price type, select a side type from the drop-down list.
  
  If Calc Price From Option Exec is selected, Vol Trader will determine the underlying security's price based on the option's sale price and the defined volatility value.  
   

• Inc(remental)—Used with Calc Price and Force.
  
  Note: The increment cannot be adjusted if the price type is Market.
   

• Disable Hedge Side—If checked, only option side orders will be placed.
   

• Hedge Delta—Check this box to specify a delta value which, in turn, will be used in computing the Est. Qty of an underlying symbol.
  
  The Est. Qty is computed as follows: Hedge Delta x  Qty = Est. Qty
  
  If Hedge Delta is not checked, the market delta will be used when calculating the Est. Qty value.
  
  Note: A warning message displays whenever a Hedge Delta value is applied. The message states that a defined underlying quantity will not change with the market.
   

• Locate ID—This field is used as part of SEC Regulation SHO for short sales. This regulation includes a new uniform requirement for broker-dealers to locate securities available for borrowing prior to effecting a short sale. Both numbers and letters can be used in a Locate ID, but there is a 16-character limit.

 

 

An unfilled Vol Trader order can have its sides reversed. For example a Vol Trader with a buy side and an underlying sell side can be switched:

 

Original Vol Trader Order

Vol Trader Reversed

 

 

Once a Vol Trader order has been selected to be reversed, the new Vol Trader order will display with the word "Reversed" in the title bar.

 

With the reverse feature, Vol Trader can be configured to reverse those quantities that have already been filled, or the entire Vol Trader order.

1. Right-click on a Vol Trader order in the Managed Order Console and select Reverse Vol Trader.
    

2. Select either Reverse Filled Quantities or Reverse Entire Vol Trader.
   
   

A reversed Vol Trader window will open. Make any desired changes and press Start to start the reversed order.

 

 

 

 

Press the Volatility Chart Viewer button to launch the chart.

 

The Volatility Chart Viewer graphs volatility data for a security over selected time periods.  If the underlying security in Vol Trader changes, the Historic Volatility Chart will change accordingly.

 

To learn more about the Volatility Chart Viewer click here.

 

 

  

Vol % is 0.00 for imported Vol Trader orders		Vol % is calculated when Snap Vol is selected

Unless specifically defined in a Vol Trader import file, imported Vol Traders do not have an associated Vol % value. This is due to the fact that a Vol % value is dependent on a number of factors including a security's reference price, an underlying security's reference price, and current market conditions.

 

Consequently, the Managed Order Console will display the Vol % of imported Vol Traders as 0.00 unless one of the following occurs:

• The order is opened for viewing, at which point the Vol % will be calculated.
  
  

• The Vol Trader button Snap Vol is selected. The Vol % will be calculated and displayed without the need for opening the order.

 

Add the Snap Vol column to the Managed Order Console:

1. Open the Field Chooser
   
   
2. Select Vol Trader then Snap Vol.

 

 

Learn how to define Conditions under which a trade can be made here.

 

 

 

Safeguards are common to all Managed Orders. Learn all about them here.

 

 

 

Actions such as setting ownership and renaming an order are described here.

 

 

 

The Activity Log is common for all Managed Orders. Learn about it here.